Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
The complexity of financial markets leads to different types of indeterminate asset returns. For example, asset returns are considered as random variables, when the available data is enough. When the available data is too small or even no available data to estimate a probability distribution, we hav...
| Main Authors: | , , , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/65681 |
| _version_ | 1848761180353462272 |
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| author | Li, B. Zhu, Y. Sun, Y. Aw, Ee Ling Grace Teo, Kok Lay |
| author_facet | Li, B. Zhu, Y. Sun, Y. Aw, Ee Ling Grace Teo, Kok Lay |
| author_sort | Li, B. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The complexity of financial markets leads to different types of indeterminate asset returns. For example, asset returns are considered as random variables, when the available data is enough. When the available data is too small or even no available data to estimate a probability distribution, we have to invite some domain experts to evaluate the belief degrees of asset returns. Then, asset returns can be described as uncertain variables. In this paper, we discuss a multi-period portfolio selection problem under uncertain environment, which maximizes the final wealth and minimizes the risk of investment. Unlike the common method to describe the multi-period portfolio selection problem as a bi-objective optimization model, we formulate this uncertain multi-period portfolio selection problem by a new method in three steps with two single objective optimization models. And, we consider the influence of transaction cost and bankruptcy of investor. Then, the proposed uncertain optimization models are transformed into the corresponding crisp optimization models and we use the genetic algorithm combined with penalty function method to solve them. Finally, a numerical example is given to show the effectiveness and practicability of proposed models and method. |
| first_indexed | 2025-11-14T10:27:34Z |
| format | Journal Article |
| id | curtin-20.500.11937-65681 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:27:34Z |
| publishDate | 2018 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-656812020-01-06T08:26:44Z Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint Li, B. Zhu, Y. Sun, Y. Aw, Ee Ling Grace Teo, Kok Lay The complexity of financial markets leads to different types of indeterminate asset returns. For example, asset returns are considered as random variables, when the available data is enough. When the available data is too small or even no available data to estimate a probability distribution, we have to invite some domain experts to evaluate the belief degrees of asset returns. Then, asset returns can be described as uncertain variables. In this paper, we discuss a multi-period portfolio selection problem under uncertain environment, which maximizes the final wealth and minimizes the risk of investment. Unlike the common method to describe the multi-period portfolio selection problem as a bi-objective optimization model, we formulate this uncertain multi-period portfolio selection problem by a new method in three steps with two single objective optimization models. And, we consider the influence of transaction cost and bankruptcy of investor. Then, the proposed uncertain optimization models are transformed into the corresponding crisp optimization models and we use the genetic algorithm combined with penalty function method to solve them. Finally, a numerical example is given to show the effectiveness and practicability of proposed models and method. 2018 Journal Article http://hdl.handle.net/20.500.11937/65681 10.1016/j.apm.2017.12.016 Elsevier fulltext |
| spellingShingle | Li, B. Zhu, Y. Sun, Y. Aw, Ee Ling Grace Teo, Kok Lay Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint |
| title | Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint |
| title_full | Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint |
| title_fullStr | Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint |
| title_full_unstemmed | Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint |
| title_short | Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint |
| title_sort | multi-period portfolio selection problem under uncertain environment with bankruptcy constraint |
| url | http://hdl.handle.net/20.500.11937/65681 |